dc.creator | Shah, Rajen Dinesh | |
dc.creator | Samworth, Richard John | |
dc.date.accessioned | 2012-01-22 | |
dc.date.accessioned | 2018-11-24T23:17:51Z | |
dc.date.available | 2014-08-22T14:03:10Z | |
dc.date.available | 2018-11-24T23:17:51Z | |
dc.date.issued | 2012-06-21 | |
dc.identifier | https://www.repository.cam.ac.uk/handle/1810/245784 | |
dc.identifier.uri | http://repository.aust.edu.ng/xmlui/handle/123456789/3181 | |
dc.description.abstract | Stability Selection was recently introduced by Meinshausen and B¨uhlmann (2010)
as a very general technique designed to improve the performance of a variable selection algorithm.
It is based on aggregating the results of applying a selection procedure to subsamples
of the data. We introduce a variant, called Complementary Pairs Stability Selection (CPSS),
and derive bounds both on the expected number of variables included by CPSS that have low
selection probability under the original procedure, and on the expected number of high selection
probability variables that are excluded. These results require no (e.g. exchangeability)
assumptions on the underlying model or on the quality of the original selection procedure. Under
reasonable shape restrictions, the bounds can be further tightened, yielding improved error
control, and therefore increasing the applicability of the methodology. | |
dc.language | en | |
dc.publisher | Wiley on behalf of the Royal Statistical Society | |
dc.publisher | Journal of the Royal Statistical Society: Series B (Statistical Methodology) | |
dc.title | Variable selection with error control: Another look at Stability Selection | |
dc.type | Article | |